GET parameters https://rixtrema.net/RixtremaWSTest/StressTestingRestAPI.aspx?Action=GetStressTest&Username={name}&Password={password}&IntegratorKey={integrator_key}

An Integrator Key is a Unique Identifier for each RiXtrema integration. It is used (and required) for all API calls (SOAP or REST) to any RiXtrema service. Having an Integrator Key lets RiXtrema "tag" each API call from all integrations, and helps provide both an additional layer of security and helps RiXtrema support our partners.

GetScenariosList

Method returns array of predefined scenariosDescription: RiXtrema risk experts have created dozens of stress scenarios for your use. They range from scenarios that have happened in the past like "Stock & Credit Collapse (2008-like)" or forward looking scenarios such as "Euro Meltdown". We also include scenarios that mimic Federal Reserve stress tests that are required for banks, but you can show them to the users of your app.

intID - Identifier of scenario.
stringName - Scenario name
All other fields describe scenario in details

Predefined scenarios are created by the RiXtrema research and advisory team and represent value added to our clients. The list is updated monthly based on the current situation, so that advisors can see what risk managers in large asset management firms are thinking about.

Key scenarios have Description field starting with "Key scenario"

Example Response Body

XML <StressTestingRestAPI Result="Success">
<Scenarios>
<Scenario_Item ID="1" Name="US Default" Type="Political" Type2="" Type3="" Description="" Region="US" Keywords="Budget; Obamacare; Government Shutdown" Degree="Severe" Shocks="Protracted US Gov't Shutdown leads to US technical default (US Equities down 20%; Insurance stocks down 35%; US 30 year rate down 50 bps)" />
<Scenario_Item ID="2" Name="Rates Rise - Investment Boom" Type="Macro" Type2="" Type3="" Description="This scenario is modeled to represent a typical annual return in an environment with strong demand for funds at the long end of the yield curve. We do not know or forecast for how many years that investment boom will last if it does occur. Returns are in nominal terms. For more detail, see Scenario Definitions at the bottom of the screen." Region="US" Keywords="Interest Rate; Yield; Curve" Degree="Severe" Shocks="Interest rate rise that is driven by GDP growth and investment boom, as opposed to inflation" />
...
...
</Scenarios>
</StressTestingRestAPI>

JSON{
"StressTestingRestAPI": {
"Result": "Success",
"Scenario_Item": [
{
"ID": "1",
"Name": "US Default",
"Type": "Political",
"Type2": "",
"Type3": "",
"Description": "",
"Region": "US",
"Keywords": "Budget; Obamacare; Government Shutdown",
"Degree": "Severe",
"Shocks": "Protracted US Gov't Shutdown leads to US technical default (US Equities down 20%; Insurance stocks down 35%; US 30 year rate down 50 bps)"
},
{
"ID": "2",
"Name": "Rates Rise - Investment Boom",
"Type": "Macro",
"Type2": "",
"Type3": "",
"Description": "This scenario is modeled to represent a typical annual return in an environment with strong demand for funds at the long end of the yield curve. We do not know or forecast for how many years that investment boom will last if it does occur. Returns are in nominal terms. For more detail, see Scenario Definitions at the bottom of the screen.",
"Region": "US",
"Keywords": "Interest Rate; Yield; Curve",
"Degree": "Severe",
"Shocks": "Interest rate rise that is driven by GDP growth and investment boom, as opposed to inflation"
},
...
...
{
"ID": "104",
"Name": "Fed 2015 Scenario - Severe",
"Type": "Financial",
"Type2": "Global",
"Type3": "",
"Description": "Key Scenario This is event is modeled now through end of 2015 based on Federal Reserve projections",
"Region": "Global",
"Keywords": "",
"Degree": "Extreme",
"Shocks": "Fed released 2015 scenarios. In the severely adverse scenario the equity market is down 58% through the end of 2015 and VIX goes to 48. Corporate BBB spreads are at 6.2% (increase of < 2%), while treasury rates are going down to 1.5% & .4% for the 10 year and 5 year rate respectively. Deflation mixed with a stock drop is the worst possible environment for all asset classes."
}
]
}
}

GetStressTest

Method returns results for each portfolio in each scenarioDescription: Use this function to see likely performance of a portfolio in any scenario. RiXtrema engine calculates the expected losses or gains for any portfolio under any scenario. Pass one of the scenarios names from the GetScenariosList and find the loss your portfolio is likely to experience in that scenario with "LOSSES" argument. The function also return Long Term Return forecast for a portfolio with argument "LTR", returns average yield with argument "YIELD". The function also returns a Crash Rating, a measure of riskiness that is calculated from 1 to 100, with 100 being the most risky and crash rating of Dow Jones Industrials between 65-72.

CRASHRATING - Crash rating is a number 1 to 100 that indicates a riskiness of the portfolio.

Calculation:

Sum three largest losses that a portfolio incurs among all stress scenarios.

Compare it to the table which maps the sum of three losses to the crash rating. Mapping is done through assigning losses to bins. The bins are calculated as follows. We calculate the crash test for MSCI Emerging Markets Index for all scenarios. We sum up its three biggest losses and assume this to be the crash rating of 90. Everything above 90 is extremely risky investments such as individual emerging market stocks or leveraged funds. For ratings between 1 and 90, we simply take the sum of three biggest losses for MSCI Emerging Markets and divide it by 90. Thus, the difference between any two sequential ratings is the sum of three biggest losses for MSCI Emerging Markets divided by 90.

int[]scenarioIDs - (Only for LOSSES type) - Array of IDs of predefined RiXtrema scenarios. List of scenarios can be obtained with GetScenariosList method

boolonlyKeyScenarios - for LOSSES type user can request results only for key scenarios

StressTestPortfolio[]portfolios - Set of user portfolios with name and set of Positions with ID. It could be ISIN, CUSIP, SEDOL or other industry recognizable ID. And for each position Weight (in dollars or %) or Shares amount should be defined.

Method returns shock effects for each asset in each scenario.Description: This is similar to the GetStressTest function, but instead of returning forecasted gains and losses in a scenario for a given portfolio, this function returns gains or losses for a given asset. Use it, for example, when you want to find out how Google would do if a "Euro Meltdown" scenario occurred.

Method returns Beta for each asset in list.Description: Beta is a typical measure of how any given asset moves in relation to the overall market. This function returns forecasted future beta of an asset. You can find out beta of a stock or fund vs. the world equity market. Beta of 1.5 means that for a sample 10% move in the equity market, this asset will move 15%.

SOAPpublic AssetItemResult[] GetAssetBeta(string[] assets);

RESTURL BaseURL?Action=GetAssetBeta

string[]assets - list of Assets ID. It could be ISIN, CUSIP, SEDOL or other industry recognizable ID.

Result types public class AssetItemResult
{
public string ID;
public string RiXtremaID;
public double Value;
}

Method returns Beta for each portfolio in list.Description: This function is analogous to GetAssetBeta, but returns a forecasted beta of a portfolio. If beta of a portfolio is forecasted to be 2, then for every 10% loss in the world equity market - it is likely to lose 20%.

StressTestPortfolio[]portfolios - Set of user portfolios with name and set of Positions with ID. It could be ISIN, CUSIP, SEDOL or other industry recognizable ID. And for each position Weight (in dollars or %) or Shares amount should be defined.